This paper considers some numerical schemes for the approximate solution of conservation laws and various wavelet methods are reviewed. This is followed by the construction of wavelet spaces based on a polynomial framework for the approximate solution of conservation laws. Construction of a representation of the approximate solution in terms of an entropy satisfying Multiresolution Analysis (MRA) is defined. Finally, a proof of convergence of the approximate solution of conservation laws using the characterization provided by the basis functions in the MRA will be given.